期刊
ANNALS OF APPLIED PROBABILITY
卷 15, 期 1B, 页码 820-852出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/105051604000000963
关键词
multiclass queueing systems; scheduling and routing control; heavy traffic; Halfin-Whitt regime; buffer-station tree; control of diffusions; Hamilton-Jacobi-Bellman equation; unbounded domain
This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers working in parallel, grouped in several stations. Servers in different stations offer service to customers of each class at possibly different rates. The control corresponds to selecting what customer class each server serves at each time. The diffusion control problem does not seem to have explicit solutions and therefore a characterization of optimal solutions via the Hamilton-Jacobi-Bellman equation is addressed. Our main result is the existence and uniqueness of solutions of the equation. Since the model is set on an unbounded domain and the cost per unit time is unbounded, the analysis requires estimates on the state process that are subexponential in the time variable. In establishing these estimates, a key role is played by an integral formula that relates queue length and idle time processes, which may be of independent interest.
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